When Opera is set to ask for location before downloading, the save dialog will default to the last folder where whatever file has been downloaded to.
However you often have repetitive download tasks that depend very much on the domain/website. For example you get regularly every week a pdf from website W1 and store it in location L1, then a pdf from W2 to L2, then a video from W3 to the video folder etc.
Currently you have to navigate the folder list to choose the right folder unless the most recently downloaded file went into the same folder. Much of that effort could be saved if opera kept a smart history with last download location per most similar url (or t least same domain), and launches the save dialog with the path parameter.
For example Firefox remembers the download location per domain.